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Number of items: 19.
Journal Article
Herdegen, Martin and Munari, Cosimo (2023) An elementary proof of the dual representation of expected shortfall. Mathematics and Financial Economics, 17 . pp. 655-662. doi:10.1007/s11579-023-00346-8 ISSN 1862-9679.
Herdegen, Martin, Muhle-Karbe, Johannes and Stebegg, Florian (2023) Liquidity provision with adverse selection and inventory costs. Mathematics of Operations Research, 48 (3). pp. 1286-1315. doi:10.1287/moor.2022.1294 ISSN 0364-765X.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2023) The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : Foundations. Finance and Stochastics, 27 . pp. 127-158. doi:10.1007/s00780-022-00495-6 ISSN 0949-2984.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2023) The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : Existence, uniqueness and verification for Οβ(0,1). Finance and Stochastics, 27 . pp. 159-188. doi:10.1007/s00780-022-00496-5 ISSN 0949-2984.
Herdegen, Martin and Kreher, DΓΆrte (2022) Bubbles in discrete-time models. Finance and Stochastics, 26 . pp. 899-925. doi:10.1007/s00780-022-00487-6 ISSN 0949-2984.
Herdegen, Martin and Khan, Nazem (2022) Mean-Ο portfolio selection and Ο-arbitrage for coherent risk measures. Mathematical Finance, 32 (1). pp. 226-272. doi:10.1111/mafi.12333 ISSN 0960-1627.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph (2021) An elementary approach to the Merton problem. Mathematical Finance, 31 (4). pp. 1218-1239. doi:10.1111/mafi.12311 ISSN 0960-1627.
Herdegen, Martin, Muhle-Karbe, J. and PossamaΓ―, D. (2021) Equilibrium asset pricing with transaction costs. Finance and Stochastics, 25 . pp. 231-275. doi:10.1007/s00780-021-00449-4 ISSN 0949-2984.
CayΓ©, Thomas, Herdegen, Martin and Muhle-Karbe, Johannes (2020) Scaling limits of processes with fast nonlinear mean reversion. Stochastic Processes and their Applications, 130 (4). pp. 1994-2031. doi:10.1016/j.spa.2019.06.008 ISSN 0304-4149.
CayΓ©, Thomas, Herdegen, Martin and Muhle-Karbe, Johannes (2020) Trading with small nonlinear price impact. Annals of Applied Probability, 30 (2). pp. 706-746. doi:10.1214/19-AAP1513 ISSN 1050-5164.
Herdegen, Martin and Muhle-Karbe, Johannes (2019) Sensitivity of optimal consumption streams. Stochastic Processes and their Applications, 129 (6). pp. 1964-1992. doi:10.1016/j.spa.2018.06.011 ISSN 0304-4149.
Herdegen, Martin and Herrmann, Sebastian (2019) Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Mathematical Finance, 29 (1). pp. 285-328. doi:10.1111/mafi.12175 ISSN 0960-1627.
Herdegen, Martin and Schweizer, Martin (2018) Semi-efficient valuations and put-call parity. Mathematical Finance, 28 (4). pp. 1061-1106. doi:10.1111/mafi.12162 ISSN 0960-1627.
Bouchard, Bruno, Fukasawa, Masaaki, Herdegen, Martin and Muhle-Karbe, Johannes (2018) Equilibrium returns with transaction costs. Finance and Stochastics, 22 (3). pp. 569-601. doi:10.1007/s00780-018-0366-6 ISSN 0949-2984.
Herdegen, Martin and Muhle-Karbe, Johannes (2018) Stability of Radner Equilibria with respect to small frictions. Finance and Stochastics, 22 . pp. 443-502. doi:10.1007/s00780-018-0354-x ISSN 0949-2984.
Herdegen, Martin (2017) No-arbitrage in a numeraire-independent modeling framework. Mathematical Finance, 27 (2). pp. 568-603. doi:10.1111/mafi.12088 ISSN 0960-1627.
Herdegen, Martin and Herrmann, Sebastian (2017) Minimal conditions for implications of Gronwall-Bellman. Journal of Mathematical Analysis and Applications, 446 (2). pp. 1654-1665. ISSN 0022-247X.
Herdegen, Martin and Schweizer, Martin (2016) Strong bubbles and strict local martingales. International Journal of Theoretical and Applied Finance, 19 (4). 1650022. doi:10.1142/S0219024916500229 ISSN 0219-0249.
Herdegen, Martin and Herrmann, Sebastian (2016) Single jump processes and strict local martingales. Stochastic Processes and their Applications, 126 (2). pp. 337-359. doi:10.1016/j.spa.2015.09.003 ISSN 0304-4149.
This list was generated on Fri Apr 19 15:44:07 2024 BST.